Optimal allocation-consumption problem for a portfolio with an illiquid asset.
Ljudmila A. BordagIvan P. YamshchikovDmitry ZhelezovPublished in: Int. J. Comput. Math. (2016)
Keyphrases
- optimal allocation
- transaction costs
- portfolio theory
- asset allocation
- portfolio management
- social welfare
- optimal portfolio
- resource allocation
- electricity consumption
- portfolio selection
- sharpe ratio
- stock market
- virtual machine
- reinforcement learning
- decision making
- unequal error protection
- low cost
- portfolio optimization
- databases